Adapted from the existing algorithm posted here, I've changed some selections based on my own research. Paper is here. Generates some positive momentum over a 5 year daily backtest. Multiple backtests suggest epsilon values below 1 produce less volatility in returns. I would like to implement hedging using a variability reduction model as described here. Collaboration is welcome
Thanks for sharing. Yes, it looks like this generally follows the benchmark but does slightly beat it in the 2011 - 2013 range. You can see it's similar to the benchmark because the beta is close to 1. I would be curious to see how it performs with a larger set of stocks/more trades and some hedging, which should bring down its beta.
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Gus, I have tried to modify context.stocks to use a highly liquid selection from DollarVolumeUniverse() instead of a list of handpicked stocks but the result is instability. Backtests can randomly crash when the simplex projection function goes out of bounds and I'm still trying to fix it. I agree that a larger set of stocks should bring down the beta.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.